Book 97

Praise for Energy and Power Risk Management

"Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals."
-Helyette Geman, Professor of Finance
University Paris Dauphine and ESSEC

"The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals."
-Vincent Kaminski, Managing Director
Citadel Investment Group LLC

"Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market."
-Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading

"This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation."
-Ron Erd, Senior Vice President
American Electric Power

Written by a leading practitioner and two leading academics, this book provides complete coverage of all of the leading methods for modelling basket products and addresses the multivariate structures involved. Part I of the book covers the statistical approach to modelling commodities and equities, including correlation, copulas and weighted Monte carlo and Part II covers the Asymptotic and PDE approach to modelling leading commodity and equity basket products, including Black-Scholes, diffusion models and volatility models. The authors provide all of the necessary machinery for pricing and hedging these products with coverage of the most common mistakes and problems encountered.